The bias of estimators of causal spatial autoregressive processes

• Published in: Biometrika Vol. 80; no. 1; pp. 242 - 245
• Main Authors: HA, EUNHO, NEWTON, H. JOSEPH
• Format: Journal Article
• Language: English
• Published: Oxford Oxford University Press 01-03-1993; Biometrika Trust
• Subjects: Autoregressive models; Causal autoregressive process; Coefficients; Covariance matrices; Estimation bias; Estimators; Exact sciences and technology; Gaussian distributions; Inference from stochastic processes; time series analysis; Least squares; least squares estimator; Mathematics; Miscellanea; Probability and statistics; Sciences and techniques of general use; Statistics; Unbiased estimators; Yule-Walker estimator; Autoregressive model; Yule Walker estimator; Least squares method; Bias
• ISSN: 0006-3444; 1464-3510
• DOI: 10.1093/biomet/80.1.242

SUMMARY We study the asymptotic distribution of Yule-Walker and least squares estimators for twodimensional causal autoregressive processes observed on a rectangular part of a lattice. An explicit expression for the asymptotic bias of Yule-Walker estimators is obtained. It is shown that this bias disappears if we use the so-called unbiased sample autocovariance function or least squares estimators.